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~isPartOf:"CORE discussion papers : DP"
~isPartOf:"Computational economics"
~subject:"Finanzmarkt"
~subject:"Volatility"
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Search: subject_exact:"Kendall's tau"
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ECONIS (ZBW)
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1
Forecasting Value at Risk and expected shortfall of foreign exchange rate volatility of major African currencies via GARCH and dynamic conditional correlation analysis
Afuecheta, Emmanuel
;
Okorie, Idika E.
;
Nadarajah, Saralees
- In:
Computational economics
63
(
2024
)
1
,
pp. 271-304
Persistent link: https://www.econbiz.de/10014472109
Saved in:
2
Connectedness in international crude oil markets
Bhanja, Niyati
;
Nasreen, Samia
;
Dar, Arif Billah
; …
- In:
Computational economics
59
(
2022
)
1
,
pp. 227-262
Persistent link: https://www.econbiz.de/10013168983
Saved in:
3
The geometry of the world of currency volatilities
Konstantinov, Gueorgui
;
Fabozzi, Frank J.
- In:
Computational economics
60
(
2022
)
1
,
pp. 125-145
Persistent link: https://www.econbiz.de/10013262502
Saved in:
4
DCC-HEAVY : a multivariate GARCH model based on realized variances and correlations
Bauwens, Luc
;
Xu, Yongdeng
-
2019
Persistent link: https://www.econbiz.de/10012215175
Saved in:
5
Nonlinearities and regimes in conditional correlations with different dynamics
Bauwens, Luc
;
Otranto, Edoardo
-
2018
Persistent link: https://www.econbiz.de/10011992647
Saved in:
6
Variance swaps with deterministic and stochastic correlations
Han, Ah-Reum
;
Kim, Jeong-Hoon
;
Kim, See-Woo
- In:
Computational economics
57
(
2021
)
4
,
pp. 1059-1092
Persistent link: https://www.econbiz.de/10012543256
Saved in:
7
Entropy of graphs in financial markets
Nie, Chun-Xiao
;
Song, Fu-Tie
- In:
Computational economics
57
(
2021
)
4
,
pp. 1149-1166
Persistent link: https://www.econbiz.de/10012543268
Saved in:
8
Co-movement and dynamic correlation of financial and energy markets : an integrated framework of nonlinear dynamics, wavelet analysis and DCC-GARCH
Ghosh, Indranil
;
Sanyal, Manas K.
;
Jana, R. K.
- In:
Computational economics
57
(
2021
)
2
,
pp. 503-527
Persistent link: https://www.econbiz.de/10012486945
Saved in:
9
Dynamic correlation and risk contagion between "black" futures in China : a multi-scale variational mode decomposition approach
Wang, Qunwei
;
Dai, Xingyu
;
Zhou, Dequn
- In:
Computational economics
55
(
2020
)
4
,
pp. 1117-1150
Persistent link: https://www.econbiz.de/10012223704
Saved in:
10
Conditional correlation demand systems
Serletis, Apostolos
;
Xu, Libo
- In:
Computational economics
56
(
2020
)
1
,
pp. 77-86
Persistent link: https://www.econbiz.de/10012272017
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